Commonality in equity options liquidity: Evidence from European Markets

Thanos Verousis; Owain ap Gwilym; Nikolaos Voukelatos

doi:10.1080/1351847X.2016.1188836

Commonality in equity options liquidity: Evidence from European Markets

Thanos Verousis
, Owain ap Gwilym
, Nikolaos Voukelatos

Ysgol Busnes Albert Gubay

Institute for Health and Society, Newcastle University, Newcastle upon Tyne, UK.
University of Kent

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

197 Wedi eu Llwytho i Lawr (Pure)

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This paper examines commonality in liquidity for individual equity
options trading in European markets. We use high-frequency data to
construct a novel index of liquidity commonality. The approach is able
to explain a substantial proportion of the liquidity variation across
individual options. The explanatory power of the common liquidity
factor is more pronounced during periods of higher market-wide
implied volatility. The common factor’s impact on individual options’
liquidity depends on options’ idiosyncratic characteristics. There is
some evidence of systematic liquidity spillover effects across these
European exchanges.

Iaith wreiddiol	Saesneg
Tudalennau (o-i)	1204-1223
Cyfnodolyn	European Journal of Finance
Cyfrol	22
Rhif cyhoeddi	12
Dynodwyr Gwrthrych Digidol (DOIs)	https://doi.org/10.1080/1351847X.2016.1188836
Statws	Cyhoeddwyd - 24 Mai 2016

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10.1080/1351847X.2016.1188836

2016 Commonality in equity Llawysgrif awdur wedi’i dderbyn, 886 KB

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title = "Commonality in equity options liquidity: Evidence from European Markets",

abstract = "This paper examines commonality in liquidity for individual equity options trading in European markets. We use high-frequency data to construct a novel index of liquidity commonality. The approach is able to explain a substantial proportion of the liquidity variation across individual options. The explanatory power of the common liquidity factor is more pronounced during periods of higher market-wide implied volatility. The common factor{\textquoteright}s impact on individual options{\textquoteright} liquidity depends on options{\textquoteright} idiosyncratic characteristics. There is some evidence of systematic liquidity spillover effects across these European exchanges.",

author = "Thanos Verousis and \{ap Gwilym\}, Owain and Nikolaos Voukelatos",

note = "This is an Accepted Manuscript of an article published by Taylor \& Francis in European Journal of Finance on [date of publication], available online: http://wwww.tandfonline.com/[Article DOI]. ",

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N2 - This paper examines commonality in liquidity for individual equity options trading in European markets. We use high-frequency data to construct a novel index of liquidity commonality. The approach is able to explain a substantial proportion of the liquidity variation across individual options. The explanatory power of the common liquidity factor is more pronounced during periods of higher market-wide implied volatility. The common factor’s impact on individual options’ liquidity depends on options’ idiosyncratic characteristics. There is some evidence of systematic liquidity spillover effects across these European exchanges.

AB - This paper examines commonality in liquidity for individual equity options trading in European markets. We use high-frequency data to construct a novel index of liquidity commonality. The approach is able to explain a substantial proportion of the liquidity variation across individual options. The explanatory power of the common liquidity factor is more pronounced during periods of higher market-wide implied volatility. The common factor’s impact on individual options’ liquidity depends on options’ idiosyncratic characteristics. There is some evidence of systematic liquidity spillover effects across these European exchanges.

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Commonality in equity options liquidity: Evidence from European Markets

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